When using a shield you basically have two choices:
1) to maximize your life by investing in Vitality, and leave your dexterity low.
2) invest points into dexterity for the purpose of blocking attacks with your shield. The formula to deterimine your blocking % is affected by your investment in dexterity (and some other things). More points in dexterity = more blocking, upto a maximum of 75%.
The advantage of full-vitality is that you always have that extra life, but the disadvantage is that almost anything that attacks you will probably hit. The advantage of dexterity is that you'll be able to completely negate some attacks' damage, but the main disadvantage is that you'll have lower life because you didn't invest as much in Vit, and 25% of attacks are still going to get past your shield (against your lower life).
Some folks think #1 is better, while others prefer #2. Neither choice is particularly right or wrong, though it's much easier to 'get your build right' with a max-life approach. More vitality = more life = you survive better... doesn't get much easier than that.
Choosing to pursue blocking (via dexterity) is a little more complicated, since there are a few things you can do - like running - that can lower your blocking percentage or otherwise mess you up. And there are some attacks that can't be blocked too.
If you choose to try blocking, it's important to choose a good-blocking shield. A shield with 60% or higher base blocking is a "good" blocking shield (hover your mouse over the shield you have equipped, you'll see what I mean). If the shield you have planned for the end of the game doesn't have at least 60% blocking, I wouldn't recommend attempting to block. If you choose a "bad" blocking shield, and end up spending 'too much' into dexterity and cripple your build because your life is SOOO low from all those points you didn't spend in vitality.
Basically what Vulvacore's saying is that it's a good idea to decide beforehand if you want to try to block attacks by spending points in dexterity, or if you just want to go with max-life (i.e. vitality).
Generally if you want to have blocking you'll end up with somewhere around 150-225 points in dexterity at the end of the game. You'll also probably have 70-100 points in strength in this case. You probably end up with about 450 stat points at the end of the game, so that would leave 125-230 points for Vitality/Energy.
Or you can have 70-150 in strength, and have the remaining 300+ in Vitality if you go with a max-life approach. Without any additional boosts to your life pool from gear, choosing max-life will probably result in about extra 300-400 life, which may be as much as ~40% of your total life if you don't have good life-boosting equipment.
For cheap equipment when leveling up, look for things that boost your mana, skills, and Faster Cast Rate (FCR). Also, things that boost life, mana per kill, and mana regeneration can be very nice too.
There's one other thing to keep in mind: Faster Hit Recovery (FHR)
When a single attack removes 1/12th (or more) of your total life, this will force you into hit recovery. While in hit recovery the spells you were trying to cast will be interrupted, and you'll be immobile too, so obviously it's a bad thing to have happen. Items with FHR obviously help by minimizing the time you spend in recovery.
But going back the shields/blocking discussion, keep in mind the difference on your total life with or without blocking. Because you have more total life with max-vitality, it's going to be harder for monsters that hit you to cause enough damage to force you into hit recovery. Having some FHR on your equipment is a good thing with either approach, but having FHR triggered less-frequently is the main reason why I usually prefer a max-vitality approach.
